Is Kyle's equilibrium model stable?

no code implementations • 18 Jul 2023 • Umut Cetin, Kasper Larsen

In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times.

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

no code implementations • 29 Jul 2020 • Umut Cetin, Kasper Larsen

Under the weaker Engelbert-Schmidt conditions, we provide a set in which the Cauchy problem has a unique weak solution.